In answer to:
What's the difference between having the card talk to the server directly and having the card tell the point of sale system its details and then communicating with the authorizing server (Which can be done by a magnetic strip or proximity card)?
The difference is that end-to-end encryption (also called point-to-point-encryption or P2PE in the payments industry) means that anyone between the card and the issuer is kept in the dark about the sensitive details of the transaction (PAN etc.).
What are the benefits of this procedure that EMV cards have then? and why is it necessary (if it is)?
The benefit is that you don't need to trust anyone between the card and the issuer. In the case of POS malware the advantage here is obvious. But this also has advantages even if there isn't any malware along the path between card and issuer.
If the merchant can't see the card details then the merchant can't store the card details. If the merchant can't store the card details it narrows the scope of PCI-DSS audits and reduces risk for the merchant. And for processors who route the transactions. And anyone else between the card and the issuer.
The PR answer from organizations in the apyments industry is that this makes everything safer for everyone. A more cynical answer is that the merchant would rather pay a bit more now for a P2PE solution to prevent expensive investigations, fines and settlements later.
Your question and my answer deal with encrypting the sensitive information between the card and the issuer but P2PE is something that grew out of EMV cards. It's an extra security measure made possible by EMV cards (and other 'intelligent' media). A mag-stripe card is a dumb medium and not being able to implement P2PE is just one drawback.
As for your question about DDA and CDA I'm afraid I can't provide a better answer than the simplified answers you can find on Google etc.